The "NET" command seems to be geared more towards AD and using it with AAD produces mixed/unexpected results.
Solution:
Create a new Configuration Profile and choose Custom.
OMA-URI:
./Device/Vendor/MSFT/Policy/Config/LocalUsersAndGroups/Configure
Value:
<GroupConfiguration>
<accessgroup desc = "Administrators">
<group action = "U"/>
<add member = "AzureAD Group's SID"/>
</accessgroup>
</GroupConfiguration>